Article 1, Point (1) · Regulation (EU) 2021/557

Contents

(1)in Article 2, the following points are added:

(24)“non-performing exposure” or “NPE” means an exposure that meets any of the conditions set out in Article 47a(3) of Regulation (EU) No 575/2013;

(25)“NPE securitisation” means a securitisation backed by a pool of non-performing exposures the nominal value of which makes up not less than 90 % of the entire pool’s nominal value at the time of origination and at any later time where assets are added to or removed from the underlying pool due to replenishment, restructuring or any other relevant reason;

(26)“credit protection agreement” means an agreement concluded between the originator and the investor to transfer the credit risk of securitised exposures from the originator to the investor by means of credit derivatives or guarantees, whereby the originator commits to pay an amount, known as a credit protection premium, to the investor and the investor commits to pay an amount, known as a credit protection payment, to the originator in the event that one of the contractually defined credit events occurs;

(27)“credit protection premium” means the amount the originator has committed to pay to the investor under the credit protection agreement for the credit protection promised by the investor;

(28)“credit protection payment” means the amount the investor has committed to pay to the originator under the credit protection agreement in the event that a credit event defined in the credit protection agreement occurs;

(29)“synthetic excess spread” means the amount that, according to the documentation of a synthetic securitisation, is contractually designated by the originator to absorb losses of the securitised exposures that might occur before the maturity date of the transaction;

(30)“sustainability factors” mean sustainability factors as defined in point (24) of Article 2 of Regulation (EU) 2019/2088 of the European Parliament and of the Council^note;

(31)“non-refundable purchase price discount” means the difference between the outstanding balance of the exposures in the underlying pool and the price at which those exposures are sold by the originator to the SSPE, where neither the originator nor the original lender are reimbursed for that difference.